What good is a volatility model?

Quantitative Finance

Volumn 1, Issue 2, 2001, Pages 237-245

  Engle, Robert F ^a   Patton, Andrew J ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85008860520     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1088/1469-7688/1/2/305     Document Type: Article

References (34)

1. Andersen T G and Bollerslev T 1998a Deutsche Mark-Dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies J. Finance 53 219-65
2. Andersen T G and Bollerslev T 1998b Answering the skeptics: yes, standard volatility models do provide accurate forecasts Int. Economic Rev. 39 885-905
3. Andersen T G, Bollerslev T, Diebold F X and Labys P 2001 The distribution of exchange rate volatility J. Am. Statist. Ass. 96 42-55
4. Baillie R T, Bollerslev T and Mikkelsen H O 1996 Fractionally integrated generalized autoregressive conditional heteroskedasticity J. Econometrics 74 3-30
5. Black F 1976 Studies of stock market volatility changes Proc. 1976 Meetings of the American Statistical Association, Business and Economic Statistics Section pp 177-81
6. Bollerslev T 1986 Generalized autoregressive conditional heteroskedasticity J. Econometrics 31 307-27
7. Bollerlsev T, Chou R Y and Kroner K F 1992 ARCH modeling in finance: a review of the theory and empirical evidence J. Econometrics 52 5-59
8. Bollerslev T, Engle R F and Nelson D B 1994 ARCH models Handbook of Econometrics vol IV, ed R F Engle and D McFadden (Amsterdam: North-Holland) pp 2959-3038
9. Bollerslev T and Melvin M 1994 Bid-ask spreads and the volatility in the foreign exchange market: an empirical analysis J. Int. Economics 36 355-72
10. Bollerslev T and Wooldridge J M 1992 Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Econometric Rev. 11 143-72
11. Brenner R J, Harjes R H and Kroner K F 1996 Another look at models of the short-term interest rate J. Financial Quantitative Analysis 31 85-107
12. Chan K C, Karolyi G A, Longstaff F A and Sanders A B 1992 An empirical comparison of alternative models of the short-term interest rate J. Finance 47 1209-27
13. Chou R Y 1988 Volatility persistence and stock valuations: some empirical evidence using GARCH J. Appl. Econometrics 3 279-94
14. Christie A A 1982 The stochastic behavior of common stock variances: value, leverage and interest rate effects J. Financial Economics 10 407-32
15. Drost F C and Nijman T E 1993 Temporal aggregation of GARCH processes Econometrica 61 909-27
16. Engle R F 1982 Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation Econometrica 50 987-1007
17. Engle R F, Ito T and Lin W-L 1990a Meteor showers or heat waves? Heteroscedastic intra-daily volatility in the foreign exchange market Econometrica 58 525-42
18. Engle R F, Lilien D and Robins R 1987 Estimation of time varying risk premia in the term structure: the ARCH-M model Econometrica 55 391-407
19. Engle R F and Manganelli S 1999 CAViaR: conditional autoregressive value at risk by regression quantiles University of California, San Diego, Department of Economics Working Paper 99-20
20. Engle R F and Mezrich J 1996 GARCH for groups Risk 9 36-40
21. Engle R F and Ng V 1993 Measuring and testing the impact of news on volatility J. Finance 48 1749-78
22. Engle R F, Ng V K and Rothschild M 1990b Asset pricing with a factor-ARCH covariance structure J. Econometrics 45 235-7
23. Fama E F 1965 The behavior of stock-market prices J. Business 38 34-105
24. Glosten L R, Jagannathan R and Runkle D E 1993 On the relation between the expected value and the volatility of the nominal excess returns on stocks J. Finance 48 1779-801
25. Gray S F 1996 Modeling the conditional distribution of interest rates as a regime-switching process J. Financial Economics 42 27-62
26. Hamilton J D and Susmel R 1994 Autoregressive conditional heteroskedasticity and changes in regime J. Econometrics 64 307-33
27. Hansen B E 1994 Autoregressive conditional density estimation Int. Economic Rev. 35 705-30
28. Harvey C R and Siddique A 1999 Autoregressive conditional skewness J. Financial Quantitative Anal. 34 465-87
29. Mandelbrot B 1963 The variation of certain speculative prices J. Business 36 394-419
30. Nelson D B 1991 Conditional heteroscedasticity in asset returns: a new approach Econometrica 59 347-70
31. Nelson D B and Foster D P 1994 Asymptotic filtering theory for univariate arch models Econometrica 62 1-41
32. Schwert G W 1989 Why does stock market volatility change over time? J. Finance 44 1115-53
33. Richardson M P and Stock J H 1989 Drawing inferences from statistics based on multi-year asset returns J. Financial Economics 25 323-48
34. Zakoian J -M 1994 Threshold heteroskedastic models J. Economic Dynamics Control 18 931-55